Riskiness-minimizing Portfolio Selection Using Single Index Model

• Main Author: 黃柏崴
• Other Authors: Yang,Jen-Wei
• Format: Others
• Language: en_US
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/rxjs3n

碩士 === 東吳大學 === 經濟學系 === 107 === The main purpose of this paper is to determine the optimal portfolio by minimizing Aumann and Serrano (2008)’s Riskiness of the portfolio given an abnormal return or systematic risk of the portfolio, where the returns of assets in the portfolio are estimated by using Sharpe Single Index Model. The Riskiness index employed in our method satisfies various appealing properties such as duality and monotonicity with respect to stochastic dominance (MRSD). More importantly, the riskiness frames the risk as the entire probability distribution. The study provide the solutions of the optimal weights, which can be estimated by method-of-moments. We also provide an empirical example by the Dow Jones Industrial Index to show the applicability of this proposed optimal portfolio model. The empirical results show that the higher abnormal return or systematic risk increases the Riskiness of optimal portfolio.